Geodesic
Estimating the extremal index through the tail dependence concept
Discussiones Mathematicae. Probability and Statistics, Tome 35 (2015) no. 1-2, pp. 61-74

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The extremal index Θ is an important parameter in extreme value analysis when extending results from independent and identically distributed sequences to stationary ones. A connection between the extremal index and the tail dependence coefficient allows the introduction of new estimators. The proposed ones are easy to compute and we analyze their performance through a simulation study. Comparisons with other existing methods are also presented. Case studies within environment are considered in the end.
Keywords: extreme value theory, extremal index, tail dependence coefficient 
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     author = {Ferreira, Marta},
     title = {Estimating the extremal index through the tail dependence concept},
     journal = {Discussiones Mathematicae. Probability and Statistics},
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     year = {2015},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/DMPS_2015_35_1-2_a4/}
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Ferreira, Marta. Estimating the extremal index through the tail dependence concept. Discussiones Mathematicae. Probability and Statistics, Tome 35 (2015) no. 1-2, pp. 61-74. http://geodesic.mathdoc.fr/item/DMPS_2015_35_1-2_a4/